When something is copyrighted, it's legally protected from being used without its owner's approval. If you want to use a copyrighted song in your short film, you need to get permission from the songwriter or producer.
When a book, movie, or piece of music is copyrighted, that means its author (or someone else) owns the right to sell, publish, or reproduce it. Just by producing an original work — writing down a poem, taking a photograph, or recording a song you composed — you've created copyrighted material. Under current U.S. law, your creation will remain copyrighted for 70 years after your death! But it would be wise to register your copyright with the Copyright Office if you think you'll ever need to file a lawsuit for infringement.